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Derivatives

Derivatives

Authors
Publisher John Wiley & Sons
Year 01/11/2019
Edition First
Pages 912
Version paperback
Readership level Professional and scholarly
Language English
ISBN 9781119595595
Categories Finance & accounting
$68.17 (with VAT)
261.00 PLN / €61.47 / £52.28
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Book description

Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.

Derivatives

Table of contents

About the Authors xxvii


About the Companion Site xxix


Preface xxxi


Chapter 1 Derivative Securities 1


1.1 Forwards and Futures 2


1.2 Options 7


1.3 Swaps 14


1.4 Hedging, Speculation, and Arbitrage 16


1.5 Short-Selling 18


1.6 Summary 20


Exercises 21


Part I Forwards and Futures 23


Chapter 2 Futures Markets 25


2.1 Trading on Futures Markets 25


2.2 Futures Exchanges and Traders 29


2.3 Margins and Marking-to-Market 30


2.4 Summary 36


Exercises 36


Chapter 3 Forward and Futures Prices 39


3.1 Pricing Forward Contracts 39


3.2 Dividends, Storage Costs, and Convenience Yield 46


3.3 Commodity Futures 49


3.4 Value of a Forward Contract 53


3.5 Summary 57


Exercises 57


Chapter 4 Futures: Hedging and Speculation 59


4.1 Hedging Using Futures 59


4.2 Novel Futures Contracts 67


4.3 Speculation 70


4.4 Summary 72


Exercises 73


Chapter 5 Index Futures 75


5.1 Stock Index Futures (SIF) 76


5.2 Index Arbitrage 78


5.3 Hedging 81


5.4 Tailing the Hedge 88


5.5 Summary 89


Appendix 5: Hedge Ratios 89


Exercises 93


Chapter 6 Strategies: Stock Index Futures 95


6.1 Underpriced Stocks: Hedging Market Risk 95


6.2 Overpriced Stocks: Hedging Market Risk 98


6.3 Market-neutral Hedge Fund 100


6.4 Long-Short Hedge Fund 101


6.5 Changing Stock Market Exposure 104


6.6 Merger Arbitrage 106


6.7 Summary 109


Appendix 6.A: Stock Picking and Market Risk 110


Appendix 6.B: Market Timing 112


Appendix 6.C: Hedging: Long-Short Portfolio 114


Appendix 6.D: Merger Arbitrage and Hedging 116


Exercises 117


Chapter 7 Currency Forwards and Futures 119


7.1 FX-Futures Contracts 120


7.2 Pricing FX-Forward Contracts 123


7.3 Pricing FX-Futures Contracts 126


7.4 Hedging and Speculation: Forwards 127


7.5 Hedging and Speculation: Futures 129


7.6 Summary 132


Appendix 7: Hedging Using FX-Futures 133


Exercises 135


Part II Fixed Income: Cash Markets 137


Chapter 8 Interest Rates 139


8.1 LIBOR, Repos, Fed Funds, and OIS Rates 139


8.2 Day-Count Conventions 141


8.3 Forward Rates 146


8.4 Forward Rate Agreements (FRAs) 150


8.5 Summary 154


Exercises 154


Chapter 9 Bond Markets 157


9.1 Prices, Yields, and Return 158


9.2 Pricing Coupon Bonds 165


9.3 Summary 168


Exercises 169


Chapter 10 Bonds: Duration and Convexity 171


10.1 Yield Curve 171


10.2 Duration and Convexity 173


10.3 Summary 178


Appendix 10: Duration and Convexity 179


Exercises 181


Part III Fixed Income Futures Contracts 183


Chapter 11 Interest Rate Futures 185


11.1 Three-month Eurodoll

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